Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0887
Annualized Std Dev 0.2083
Annualized Sharpe (Rf=0%) 0.4258

Row

Daily Return Statistics

Close
Observations 3580.0000
NAs 1.0000
Minimum -0.1206
Quartile 1 -0.0048
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0064
Maximum 0.1181
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0131
Skewness -0.2824
Kurtosis 13.0801

Downside Risk

Close
Semi Deviation 0.0096
Gain Deviation 0.0092
Loss Deviation 0.0108
Downside Deviation (MAR=210%) 0.0141
Downside Deviation (Rf=0%) 0.0094
Downside Deviation (0%) 0.0094
Maximum Drawdown 0.5528
Historical VaR (95%) -0.0197
Historical ES (95%) -0.0323
Modified VaR (95%) -0.0187
Modified ES (95%) -0.0264
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2011-04-27 -0.5528 979 444 535
2020-01-21 2020-03-23 2020-12-03 -0.4132 222 44 178
2018-01-29 2018-12-24 2019-04-23 -0.2217 310 229 81
2015-02-25 2016-02-11 2016-11-22 -0.2106 442 244 198
2011-05-13 2011-08-10 2012-01-25 -0.1795 177 62 115

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA NA -0.3 -0.3
2007 0.4 -0.6 -0.1 0.3 0.3 -0.5 -0.2 1 1.4 -1.6 0.2 -0.5 0.1
2008 1.8 -2.4 3.5 2.2 -0.2 -0.6 -0.7 -0.8 4.5 3.5 -6 1.8 6.4
2009 -2.9 -0.8 2 0.1 3.6 1.3 0 -1.9 -1.7 -2.4 1 -0.6 -2.5
2010 0.2 0.9 0 -1.8 -1.1 -0.4 1.1 2.3 -0.6 -0.2 1.5 -0.4 1.5
2011 1.7 -1 0.3 -0.3 -1.7 1.6 -1.7 -1.1 -1.5 -2.4 0.6 -0.5 -6.1
2012 1.2 0.4 0.7 0.6 -2.6 2.3 -0.6 0.5 0.2 1.1 0.3 1.7 6.1
2013 1.1 0.5 -0.5 -0.5 -1.7 0.8 1.5 -0.6 1 0.1 0 0.4 2.1
2014 -0.8 0 1 0.1 0 0.6 -0.2 0.4 -1.2 1.3 -1.1 -0.6 -0.4
2015 -1.4 -0.3 -0.3 1.5 0.2 1 0.2 -2.6 0.2 -0.1 0.8 -0.8 -1.7
2016 0.2 2.3 0.3 -0.8 0.1 0.2 -0.3 -0.2 1.1 -0.6 -0.2 -0.5 1.5
2017 -0.1 1.4 -0.3 0.1 1.3 0.3 0 0.3 0.3 0 -0.5 -0.5 2.2
2018 0.5 -1.1 0.9 -0.2 0.8 -0.2 -0.6 0.2 -0.3 1.4 -0.1 0.7 2
2019 0.3 0.4 1.5 -0.5 -1.5 1 -1.5 0.2 -1.6 1.5 -0.5 0.3 -0.5
2020 -2.2 -1.5 -5 -3.2 0.4 -0.6 0.4 0.8 0.3 0.2 1.6 0.6 -8.1
2021 1.4 2.7 0.4 NA NA NA NA NA NA NA NA NA 4.6

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart